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A long journey

Interest rate models

Risk staff

01 Jul 2007

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It all began in the late 1970s. It didn't look like much - it was just a collection of curves that could go up or down, but could not even produce a hump. Yet, with the set of apparently unexciting yield curves produced by Oldrich Vasicek in his 1977 paper An equilibrium characterization of the term structure, interest rate derivatives modelling as we understand it today was born.

Tracing step-by-step the changes from those inspired beginnings to the current state of modelling would make this